S&P launches first real-time currency indexes
S&P has launched the first real-time currency indexes, the S&P Chinese Renminbi index and Indian Rupee index, which are designed to provide exposure to emerging economic countries that currently lack a liquid currency futures market.
The indexes, which are the first in a series of currency beta indexes, replicate the performance of the Chinese renminbi and the Indian rupee versus the US dollar, and represent the performance of a rolling investment in three month, non-deliverable, forward currency contracts. The three-month currency forward contracts, which are entered into after the close of trading on each rebalancing date, are held until maturity and then rolled over.
On any date, the index is calculated by valuing the
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